Research " CORPORATE HEDGING: CURRENCY DERIVATIVES AND INTEREST RATE DERIVATIVES USE BEFORE AND AFTER SFAS 133 " ppt
Tài liệu BANK LENDING AND INTEREST- RATE DERIVATIVES pdf
... commercial and industrial loan portfolios. More specifically, we find that aggregate use of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, ... model, Diamond argues that interest- rate derivatives allow commercial banks to lessen their systematic exposure to changes in interest rates. In addition, interest- rate derivatives create extra ... of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, is associated with higher growth rates in C&I loans. 5. Robustness Check...
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The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2010 doc
... between a floating interest rate and the cap rate. Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate. Interest rate collar Combination ... of New York ...
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Tài liệu Bank heterogeneity and interest rate setting: What lessons have we learned since Lehman Brothers? pdf
... macroeconomic conditions (policy rates, real GDP, inflation, interest rate volatility), are captured by the constant α. Following Albertazzi and Marchetti (2010) and Hale and Santos 4 For a survey ... Japan (Aoki and Patrick, 1994), Germany (Harhoff and Körting, 1998) and Italy (Angelini et al.,1998) and in more market oriented ones such as the U.S. (Petersen and Rajan, 1994; Berger and Udell, ... On the other hand, the decrease in revenues caused by the recession may reduce the reliance of firms on self-financing (Friedman and Kuttner, 1993) and cause an increase in the use of credit...
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An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting docx
... between the floating rate coupon and the fixed rate coupon payments is exchanged. Figure 1: Single -Currency Interest Rate Swap Market participants often employ interest rate derivatives for ... single currency interest rate swap, parties agree to exchange payments periodically based on a fixed interest rate agreed upon at the outset of the transaction and a floating interest rate based ... two reasons, either (a) to hedge interest rate risk; or (b) to take a position on the future path of interest rates. Numerous varieties of OTC interest rate derivatives have been developed to...
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Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
... parameters and the φ(·; α) curve to the interest- rate derivatives desk, and then proceed with finding β and ψ(·; β) from CDS data.This ensures also a consistency of the interest rate model that is used ... the separate and semi-automatic calibration of the interest- rate part to interest- rate data and ofthe intensity part to credit market data. Indeed, in the separable case the credit derivatives ... interest rates and of credit default swaps (CDS’s). Moreover, themodel retains free dynamics parameters that can be used to calibrate optiondata, such as caps for the interest rate market and...
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Bank income and profits over the business and interest rate cycle pdf
... environment) and macroeconomic variables. Changesin interest rates and GDP growth represent the factors used to examine the development of ex-postmargins, spreads and profits over the business and the interest ... inthe growth rate of real GDP. Interest margins, spreads and returns on equity and assets contempo-raneoulsy fall after an interest rate impulse.Auxiliary regressions, using income and profit levels ... relativelyquickly after the shock, the one earned by granting loans to, above all, firms and households (whichare financed by their deposits and savings) rises after an interest rate shock. This...
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BANK LOAN COMMITMENTS AND INTEREST RATE VOLATILITY potx
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Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies ppt
... M^HELYTANULMÁNYOK DISCUSSION PAPERS MT-DP – 2006/15 Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies BALÁZS ÉGERT INSTITUTE OF ECONOMICS, ... series may be subject to further publication. Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies Balázs Égert, Oesterreichische Nationalbank; ... Republic-5-4-3-2-101234502-Jan-9722-Jul-9711-Feb-9801-Sep-9824-Mar-9912-Oct-9902-May-0021-Nov-0013-Jun-0104-Jan-0225-Jul-0213-Feb-0302-Sep-0324-Mar-0412-Oct-0402-May-0521-Nov-0538131823283338verbal actual interest rate czk/eurHungary-5-4-3-2-101234504-Apr-0116-Jul-0124-Oct-0106-Feb-0220-May-0228-Aug-0206-Dec-0219-Mar-0330-Jun-0307-Oct-0319-Jan-0428-Apr-0404-Aug-0412-Nov-0418-Feb-0531-May-0506-Sep-0514-Dec-05100120140160180200220240260280verbal...
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WORKING PAPER SERIES NO. 303 / FEBRUARY 2004: FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS: EVIDENCE FROM THE EU pdf
... principal outstanding, over-the-counter markets for euro and US dollar denominated interest rate derivatives are the largestfinancial markets in the world. The euro interest rate swap market ... (left hand scale)Forward Rate (rigth hand scale)Notes: The yield curve is the 10-year German government benchmark yield minus the 3-monthEuribor. The forward rate is the one year interest rate ... Series No. 303February 2004Figure 7. 10-year interest rates and swap spreads for the US(2002: 16 Jan – 18 Feb)Figure 8. 10-year interest rates and swap spreads for Germany(2002: 7 Oct – 7...
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